MVN: An R Package for Assessing Multivariate Normality

Selcuk Korkmaz1 , Dincer Goksuluk and Gokmen Zararsiz

Trakya University, Faculty of Medicine, Department of Biostatistics, Edirne, TURKEY
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selcukorkmaz@gmail.com

MVN version 5.0 (Last revision 2018-01-07)

Abstract
We previously presented MVN (https://cran.r-project.org/web/packages/MVN/index.
html) package to assess multivariate normality. We also published the paper of the package
(https://journal.r-project.org/archive/2014/RJ-2014-031/RJ-2014-031.pdf). Now, we
present an updated version of the package. The web-tool of the package available at http:
//opensoft.turcosa.com.tr/MVN/.

1 Implementation of MVN package

The MVN package contains functions in the S3 class to assess multivariate normality. This package
is the updated version of the MVN package. The data to be analyzed should be given in the
"data.frame" or "matrix" class. In this example, we will work with the famous Iris data set.
These data are from a multivariate data set introduced by Fisher (1936) as an application of linear
discriminant analysis [1]. It is also called Anderson’s Iris data set because Edgar Anderson collected
the data to measure the morphologic variation of Iris flowers of three related species [2]. First of
all, the MVN library should be loaded in order to use related functions.

# load MVN package

library(MVN)

Similarly, Iris data can be loaded from the R database by using the following R code:

# load Iris data

data(iris)

The Iris data set consists of 150 samples from each of the three species of Iris including setosa,
virginica and versicolor. For each sample, four variables were measured including the length
and width of the sepals and petals, in centimeters.

Example I: For simplicity, we will work with a subset of these data which contain only 50 samples
of setosa flowers, and check MVN assumption using Mardia’s, Royston’s and Henze-Zirkler’s tests.

# setosa subset of the Iris data

setosa <- iris[1:50, 1:4]

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1.1 mvn function
In this section we will introduce our mvn function. This function includes all the arguments to
assess multivariate normality through multivariate normality tests, multivariate plots, multivariate
outlier detection, univariate normality tests and univariate plots.

mvn(data, subset = NULL, mvnTest = c("mardia", "hz", "royston", "dh",

"energy"), covariance = TRUE, scale = FALSE, desc = TRUE,
transform = "none", R = 1000, univariateTest = c("SW", "CVM", "Lillie",
"SF", "AD"), univariatePlot = "none", multivariatePlot = "none",
multivariateOutlierMethod = "none", showOutliers = FALSE,
showNewData = FALSE)

Arguments Definition
data a numeric matrix or data frame
subset define a variable name if subset analysis is required
mvnTest select one of the MVN tests. Type ’mardia’ for Mardia’s test, ’hz’
for Henze-Zirkler’s test, ’royston’ for Royston’s test, ’dh’ for
Doornik-Hansen’s test and energy for E-statistic. See details for
further information.
covariance this option works for ’mardia’ and ’royston’. If TRUE covariance
matrix is normalized by n, if FALSE it is normalized by n-1
scale if TRUE scales the colums of data
desc a logical argument. If TRUE calculates descriptive statistics
transform select a transformation method to transform univariate marginal via
logarithm (’log’), square root (’sqrt’) and square (’square’)
R number of bootstrap replicates for Energy test, default is 1000
univariateTest select one of the univariate normality tests, Shapiro-Wilk (’SW’),
Cramer-von Mises (’CVM’), Lilliefors (’Lillie’), Shapiro-Francia
(’SF’), Anderson-Darling (’AD’)
univariatePlot select one of the univariate normality plots, Q-Q plot (’qq’),
histogram (’histogram’), box plot (’box’), scatter (’scatter’)
multivariatePlot ’qq’ for chi-square Q-Q plot, ’persp’ for perspective plot, ’contour’
for contour plot
multivariateOutlierMethod select multivariate outlier detection method, ’quan’ quantile method
based on Mahalanobis distance and ’adj’ adjusted quantile method
based on Mahalanobis distance
showOutliers if TRUE prints multivariate outliers
showNewData if TRUE prints new data without outliers

1.2 Mardia’s MVN test

mvnTest = "mardia" argument in the mvn function is used to calculate the Mardia’s multivariate
skewness and kurtosis coefficients as well as their corresponding statistical significance. This function
can also calculate the corrected version of the skewness coefficient for small sample size (n < 20).

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result <- mvn(data = setosa, mvnTest = "mardia")
result$multivariateNormalityResult

## NULL

This function performs multivariate skewness and kurtosis tests at the same time and combines
test results for multivariate normality. If both tests indicates multivariate normality, then data
follows a multivariate normality distribution at the 0.05 significance level.

1.3 Henze-Zirkler’s MVN test

One may use the mvnTest = "hz" in the mvn function to perform the Henze-Zirkler’s test.

result <- mvn(data = setosa, mvnTest = "hz")

result$multivariateNormalityResult

## NULL

1.4 Royston’s MVN test

In order to carry out the Royston’s test, set mvnTest = "royston" argument in the mvn function
as follows:

## NULL

1.5 Chi-square Q-Q plot

One can clearly see that different MVN tests may come up with different results. MVN assumption
was rejected by Henze-Zirkler’s and Royston’s tests; however, it was not rejected by Mardia’s test
at a significance level of 0.05. In such cases, examining MVN plots along with hypothesis tests can
be quite useful in order to reach a more reliable decision.
The Q-Q plot, where “Q” stands for quantile, is a widely used graphical approach to evaluate
the agreement between two probability distributions. Each axis refers to the quantiles of probability
distributions to be compared, where one of the axes indicates theoretical quantiles (hypothesized
quantiles) and the other indicates the observed quantiles. If the observed data fit hypothesized
distribution, the points in the Q-Q plot will approximately lie on the line y = x.
MVN has the ability to create three multivariate plots. One may use the multivariatePlot
= "qq" option in the mvn, function to create a chi-square Q-Q plot. We can create this plot for
the setosa data set to see whether there are any deviations from multivariate normality. Figure 1
shows the chi-square Q-Q plot of the first 50 rows of Iris data, which are setosa flowers. It can be
seen from Figure 1 that there are some deviations from the straight line and this indicates possible
departures from a multivariate normal distribution.
As a result, we can conclude that this data set does not satisfy MVN assumption based on the
fact that the two test results are against it and the chi-square Q-Q plot indicates departures from
multivariate normal distribution.

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 Chi−Square Q−Q Plot

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Figure 1: Chi-Square Q-Q plot for setosa data set.

1.6 Univariate plots and tests

As noted by several authors [3–5], if data have a multivariate normal distribution, then, each of the
variables has a univariate normal distribution; but the opposite does not have to be true. Hence,
checking univariate plots and tests could be very useful to diagnose the reason for deviation from
MVN. We can check this assumption through univariatePlot and univariateTest arguments
from the mvn function. Set univariatePlot argument "qq" for Q-Q plots (Figure 2a), "histogram"
for histograms with normal curves (Figure 2b), "box" for box-plots and "scatter" for scatterplot
matrices.

# create univariate Q-Q plots

result <- mvn(data = setosa, mvnTest = "royston", univariatePlot = "qqplot")

# create univariate histograms

result <- mvn(data = setosa, mvnTest = "royston", univariatePlot = "histogram")

As seen from Figure 2, Petal.Width has a right-skewed distribution whereas other variables
have approximately normal distributions. Thus, we can conclude that problems with multivariate
normality arise from the skewed distribution of Petal.Width. In addition to the univariate plots,
one can also perform univariate normality tests using the univariateTest argument in the mvn
function. It provides several widely used univariate normality tests, including "SW" for Shapiro-
Wilk test, "CVM" for Cramer-von Mises test, texttt"Lillie" for Lilliefors test, "SF" for Shapiro-Francia
test and "AD" Anderson-Darling test. For example, the following code chunk is used to perform the
Shapiro-Wilk’s normality test on each variable and it also displays descriptive statistics including
mean, standard deviation, median, minimum, maximum, 25th and 75th percentiles, skewness and
kurtosis:

result <- mvn(data = setosa, mvnTest = "royston", univariateTest = "SW", desc = TRUE)
result$univariateNormalityResult

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 Normal Q−Q Plot (Sepal.Length) Normal Q−Q Plot (Sepal.Width)

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(a) Q-Q plots. (b) Histograms with normal curves.

Figure 2: Univariate plots of setosa.

## n Mean Std.Dev Median Min Max 25th 75th Skew

## Sepal.Length 50 5.006 0.3524897 5.0 4.3 5.8 4.8 5.200 0.11297784
## Sepal.Width 50 3.428 0.3790644 3.4 2.3 4.4 3.2 3.675 0.03872946
## Petal.Length 50 1.462 0.1736640 1.5 1.0 1.9 1.4 1.575 0.10009538
## Petal.Width 50 0.246 0.1053856 0.2 0.1 0.6 0.2 0.300 1.17963278
## Kurtosis
## Sepal.Length -0.4508724
## Sepal.Width 0.5959507
## Petal.Length 0.6539303
## Petal.Width 1.2587179

From the above results, we can see that all variables, except Petal.Width in the setosa data
set, have univariate normal distributions at significance level 0.05. We can now drop Petal.With
from setosa data and recheck the multivariate normality. MVN results are given in Table 2.

Test Test Statistic p-value

Mardia
Skewness 11.249 0.338
Kurtosis 1.287 0.198
Henze-Zirkler 0.524 0.831
Royston 7.255 0.060

Table 1: MVN test results (setosa without Petal.Width).

According to the three MVN test results in Table 2, setosa without Petal.Width has a multi-
variate normal distribution at significance level 0.05.

Example II: Whilst the Q-Q plot is a general approach for assessing MVN in all types of nu-
merical multivariate datasets, perspective and contour plots can only be used for bivariate data. To

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demonstrate the applicability of these two approaches, we will use a subset of Iris data, named
setosa2, including the sepal length and sepal width variables of the setosa species.

1.7 Perspective and contour plots

Univariate normal marginal densities are a necessary but not a sufficient condition for MVN. Hence,
in addition to univariate plots, creating perspective and contour plots will be useful. The perspective
plot is an extension of the univariate probability distribution curve into a 3·dimensional probability
distribution surface related with bivariate distributions. It also gives information about where data
are gathered and how two variables are correlated with each other. It consists of three dimensions
where two dimensions refer to the values of the two variables and the third dimension, which is likely
in univariate cases, is the value of the multivariate normal probability density function. Another
alternative graph, which is called the “contour plot”, involves the projection of the perspective plot
into a 2·dimensional space and this can be used for checking multivariate normality assumption.
For bivariate normally distributed data, we expect to obtain a three-dimensional bell-shaped graph
from the perspective plot. Similarly, in the contour plot, we can observe a similar pattern.
To construct a perspective and contour plot for Example 2, we can use the multivariatePlot
argument in the mvn function. In the following codes, we used multivariatePlot = "persp" to
create perspective plot (Figure 3a). It is also possible to create a contour plot of the data. Contour
graphs are very useful since they give information about normality and correlation at the same time.
Figure 3b shows the contour plot of setosa flowers, when we set multivariatePlot = "contour".
As can be seen from the graph, this is simply a top view of the perspective plot where the third
dimension is represented with ellipsoid contour lines. From this graph, we can say that there is a
positive correlation among the sepal measures of flowers since the contour lines lie around the main
diagonal. If the correlation were zero, the contour lines would be circular rather than ellipsoid.

setosa2 <- iris[1:50, 1:2]

# perspective plot
result <- mvn(setosa2, mvnTest = "hz", multivariatePlot = "persp")

# contour plot
result <- mvn(setosa2, mvnTest = "hz", multivariatePlot = "contour")

Since neither the univariate plots in Figure 2 nor the multivariate plots in Figure 3 show any
significant deviation from MVN, we can now perform the MVN tests to evaluate the statistical
significance of bivariate normal distribution of the setosa2 data set.

Test Test Statistic p-value

Mardia
Skewness 0.760 0.944
Kurtosis 0.093 0.926
Henze-Zirkler 0.286 0.915
Royston 2.698 0.245

Table 2: MVN test results (setosa without Petal.Width).

All three tests in Table 2 indicate that the data set satisfies bivariate normality assumption at
the significance level 0.05. Moreover, the perspective and contour plots are in agreement with the
test results and indicate approximate bivariate normality.

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Figure 3: Perspective and contour plot for bivariate setosa2 data set.

Figures 3a and 3b were drawn using a pre-defined graphical option by the authors. However,
users may change these options by setting function entry to default = FALSE. If the default is
FALSE, optional arguments from the plot, persp and contour functions may be introduced to the
corresponding graphs.

1.8 Multivariate outliers

Multivariate outliers are the common reason for violating MVN assumption. In other words, MVN
assumption requires the absence of multivariate outliers. Thus, it is crucial to check whether the
data have multivariate outliers, before starting to multivariate analysis. The MVN includes two
multivariate outlier detection methods which are based on robust Mahalanobis distances (rMD(x)).
Mahalanobis distance is a metric which calculates how far each observation is to the center of joint
distribution, which can be thought of as the centroid in multivariate space. Robust distances are
estimated from minimum covariance determinant estimators rather than the sample covariance [6].
These two approaches, defined as Mahalanobis distance and adjusted Mahalanobis distance in the
package, detect multivariate outliers as given below,

Mahalanobis Distance:

1. Compute robust Mahalanobis distances (rMD(xi )),

2. Compute the 97.5 percent quantile (Q) of the chi-square distribution,

3. Declare rMD(xi ) > Q as possible outlier.

Adjusted Mahalanobis Distance:

1. Compute robust Mahalanobis distances (rMD(xi )),

2. Compute the 97.5 percent adjusted quantile (AQ) of the chi-Square distribution,

3. Declare rMD(xi ) > AQ as possible outlier.

The multivariateOutlierMethod argument as "quan" for quantile method based on Maha-

lanobis distance and as "adj" for adjusted quantile method based on Mahalanobis distance to detect

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multivariate outliers as given below. It also returns a new data set in which declared outliers are
removed. Moreover, this argument creates Q-Q plots for visual inspection of the possible outliers.
For this example, we will use another subset of the Iris data, which is versicolor flowers, with
the first three variables.

versicolor <- iris[51:100, 1:3]

# Mahalanobis distance
result <- mvn(data = versicolor, mvnTest = "hz", multivariateOutlierMethod = "quan")
# Adjusted Mahalanobis distance
result <- mvn(data = versicolor, mvnTest = "hz", multivariateOutlierMethod = "adj")

Chi−Square Q−Q Plot Adjusted Chi−Square Q−Q Plot

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Figure 4: Multivariate outlier detection.

From Figure 4, Mahalanobis distance declares 2 observations as multivariate outlier whereas

adjusted Mahalanobis distance declares none. See [7] for further information on multivariate outliers.

1.9 Subset analysis

One may also perform sub-group analysis using mvn function. Let’s use the Iris dataset once more
for this purpose. In the dataset, there is a group variable (Species), which defines the specie of the
flower.

head(iris)

## Sepal.Length Sepal.Width Petal.Length Petal.Width Species

## 1 5.1 3.5 1.4 0.2 setosa
## 2 4.9 3.0 1.4 0.2 setosa
## 3 4.7 3.2 1.3 0.2 setosa
## 4 4.6 3.1 1.5 0.2 setosa
## 5 5.0 3.6 1.4 0.2 setosa
## 6 5.4 3.9 1.7 0.4 setosa

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result <- mvn(data = iris, subset = "Species", mvnTest = "hz")
result$multivariateNormality

## $setosa
## Test HZ p value MVN
## 1 Henze-Zirkler 0.9488453 0.04995356 NO
##
## $versicolor
## Test HZ p value MVN
## 1 Henze-Zirkler 0.8388009 0.2261991 YES
##
## $virginica
## Test HZ p value MVN
## 1 Henze-Zirkler 0.7570095 0.4970237 YES

According to the Henze-Zirkler’s test results, dataset for setosa does not follow a multivariate
normal distribution, whereas dataset versicolor and virginica follow a multivariate normal distribu-
tion.

2 Web interface for the MVN package

The purpose of the package is to provide MVN tests along with graphical approaches for assessing
MVN. Moreover, this package offers univariate tests and plots, and multivariate outlier detection
for checking MVN assumptions through R. However, using R codes might be challenging for new
R users. Therefore, we also developed a user-friendly web application by using shiny1 [8]. This
web-tool, which is an interactive application, has all the features that the MVN package has. It is
publicly available through http://opensoft.turcosa.com.tr.

References
[1] R. A. Fisher. The use of multiple measurements in taxonomic problems. Annals of Eugenics,
7(2):179–188, 1936.
[2] Edgar Anderson. The species problem in Iris. Missouri Botanical Garden Press, 23(3):457–509,
1936.
[3] Tom Burdenski. Evaluating univariate, bivariate, and multivariate normality using graphical
and statistical procedures. Multiple Linear Regression Viewpoints, 26(2):15–28, 2000.
[4] James P Stevens. Applied multivariate statistics for the social sciences. Routledge, 2012.
[5] Robert E Kass, Uri T Eden, and Emery N Brown. Analysis of Neural Data. Springer, 2014.
[6] P. J. Rousseeuw and A. M. Leroy. Robust Regression and Outlier Detection. John Wiley & Sons,
Inc., New York, NY, USA, 1987.
[7] Peter Filzmoser, Robert G. Garrett, and Clemens Reimann. Multivariate outlier detection in
exploration geochemistry. Computers & Geosciences, 31(5):579–587, 2005.
[8] RStudio, Inc. shiny: Web Application Framework for R, 2014. R package version 0.10.1.
1
http://www.rstudio.com/shiny/